Optimal hedge ratio in a biased forward market under liquidity constraints
نویسندگان
چکیده
منابع مشابه
Optimal Execution under Liquidity Constraints
This paper introduces a method of finding the optimal execution schedule to minimize risks under liquidity constraints. The liquidity of stocks is a significant factor for trading because a lack of liquidity leads to an inability to perform according to a preset execution schedule. The idea of liquidity constraints comes from the fact that the market impact of a small volume of trading is negli...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2017
ISSN: 1544-6123
DOI: 10.1016/j.frl.2016.11.009